Industry costs of equity

被引：2903
|
作者：
Fama, EF
French, KR
机构：
[1] YALE UNIV,SCH MANAGEMENT,NEW HAVEN,CT 06520
[2] UNIV CHICAGO,GRAD SCH BUSINESS,CHICAGO,IL 60637
来源：
JOURNAL OF FINANCIAL ECONOMICS | 1997年 / 43卷 / 02期
关键词：
cost of equity; asset pricing models; risk loadings;
D O I：
10.1016/S0304-405X(96)00896-3
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Estimates of the cost of equity for industries are imprecise. Standard errors of more than 3.0% per year are typical for both the CAPM and the three-factor model of Fama and French (1993). These large standard errors are the result of(i) uncertainty about true factor risk premiums and (ii) imprecise estimates of the loadings of industries on the risk factors. Estimates of the cost of equity for firms and projects are surely even less precise.
引用
收藏
页码：153 / 193
页数：41
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